Fixed Income Securities: Tools for Today's Markets, 3rd Edition

Fixed income practitioners need to understand the conceptual
frameworks of their field; to master its quantitative tool-kit; and
to be well-versed in its cash-flow and pricing conventions.
Fixed Income Securities, Third Edition by Bruce Tuckman and
Angel Serrat is designed to balance these three objectives. The
book presents theory without unnecessary abstraction; quantitative
techniques with a minimum of mathematics; and conventions at a
useful level of detail.

The book begins with an overview of global fixed income markets
and continues with the fundamentals, namely, arbitrage pricing,
interest rates, risk metrics, and term structure models to price
contingent claims. Subsequent chapters cover individual markets and
securities: repo, rate and bond forwards and futures, interest rate
and basis swaps, credit markets, fixed income options, and
mortgage-backed-securities.

Fixed Income Securities, Third Edition is full of
examples, applications, and case studies. Practically every
quantitative concept is illustrated through real market data. This
practice-oriented approach makes the book particularly useful for
the working professional.

This third edition is a considerable revision and expansion of
the second. Most examples have been updated. The chapters on fixed
income options and mortgage-backed securities have been
considerably expanded to include a broader range of securities and
valuation methodologies. Also, three new chapters have been added:
the global overview of fixed income markets; a chapter on corporate
bonds and credit default swaps; and a chapter on discounting with
bases, which is the foundation for the relatively recent practice
of discounting swap cash flows with curves based on money market
rates.

[FOR THE UNIVERSITY EDITION]

This university edition includes problems which students can use
to test and enhance their understanding of the text.

Bruce Tuckman holds a PhD in economics from MIT and began
his career as a professor of finance at New York University's Stern
School of Business. Moving to the industry, he became a managing
director at Salomon Brothers' Fixed Income Proprietary Trading
Group; ran research groups at Credit Suisse and Lehman Brothers;
and, for the Prime Services Division at Barclays Capital, was
global head of research and an executive committee member. He is
now the Director of Financial Markets Research at the Center for
Financial Stability, a think tank in New York.

Angel Serrat holds a PhD in finance from MIT. Prior to
joining the industry, he was a member of the finance faculty at The
University of Chicago's Graduate School of Business. He has
published in journals including The Review of Economic Studies,
The Review of Financial Studies, and Econometrica. He was an
executive director of strategy groups at Goldman Sachs and Credit
Suisse, and later became a managing director at JPMorgan's global
proprietary positioning business as a portfolio manager and head of
strategy. He is currently a partner at Capula Investment
Management, a fixed income asset management firm.

Instructors

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